To by–pass these specific issues, we advocate basing the inference procedure within a GMM context [1]}, [2]}. Hence, assuming that \(\mathbf {\xi }_{t}\)  is correctly specified and indicating with \(\mathbf {\theta }\)  the vector of parameters entering it, we let
\(\varepsilon _{t, i} = \frac{x^{(\xi )}_{t, i}}{\xi _{t, i}},\) 
